Synthetic Series Derivative Contracts

Abstract

A computer system may process data associated with synthetic series derivative contracts. Those contracts may be settled in cash to an imputed value of a fixed income security. This fixed income security may be coupon bearing. The imputed value of the fixed income security may be based on a calculated value of a series of interest-based derivative contracts. Both that series and the fixed income security may be hypothetical.

1 . A method comprising:
 accessing, by an exchange computer system, definitional data for a synthetic series derivative contract class, wherein the definitional data comprises
 synthetic series data identifying constituent derivative contract classes having successive expiration times and 
 synthetic fixed income security data defining a synthetic fixed income security; 
   determining, by the exchange computer system, an effective yield as of a valuation time for a synthetic series of contracts conforming to the constituent derivative contract classes;   calculating, by the exchange computer system, an imputed value of the synthetic fixed income security corresponding to the effective yield as of the valuation time; and   storing, by the exchange computer system and with regard to a synthetic series derivative contract conforming to the synthetic series derivative contract class, data updating an account value based on the imputed value of the synthetic fixed income security.   
     
     
         2 . The method of  claim 1 , further comprising:
 receiving, at the exchange computer system, buy order data representing a bid price for a contract conforming to the synthetic series derivative contract class and sell order data representing an offer price for a contract conforming to the synthetic series derivative contract class;   matching, by the exchange computer system, the buy order data and the sell order data; and   storing, by the exchange computer system and as a result of the matching, data creating the synthetic series derivative contract.   
     
     
         3 . The method of  claim 1 , wherein each of the constituent derivative contract classes defines a class of futures contracts requiring payment based on an interest rate common to all contracts conforming to the constituent derivative contract class and on a notional amount common to all contracts conforming to the constituent derivative contract class. 
     
     
         4 . The method of  claim 1 , wherein, for each of the constituent derivative contract classes,
 the class defines a class of derivative contracts requiring payment based on an interest rate difference applied a notional amount,   the notional amount is common to all contracts conforming to the class, and   the interest rate difference comprises a difference between a contract price for a contract conforming to the class and a market interest rate.   
     
     
         5 . The method of  claim 1 , wherein each of the constituent derivative contract classes is a different class of Eurodollar futures contracts. 
     
     
         6 . The method of  claim 1 , wherein the synthetic fixed income security data defines a settlement date for the synthetic fixed income security prior to a first expiration date of the constituent derivative contract classes. 
     
     
         7 . One or more non-transitory computer-readable media storing computer executable instructions that, when executed, cause a computer system to perform operations that include:
 accessing definitional data for a synthetic series derivative contract class, wherein the definitional data comprises
 synthetic series data identifying constituent derivative contract classes having successive expiration times and 
 synthetic fixed income security data defining a synthetic fixed income security; 
   determining an effective yield as of a valuation time for a synthetic series of contracts conforming to the constituent derivative contract classes;   calculating an imputed value of the synthetic fixed income security corresponding to the effective yield as of the valuation time; and   storing, with regard to a synthetic series derivative contract conforming to the synthetic series derivative contract class, data updating an account value based on the imputed value of the synthetic fixed income security.   
     
     
         8 . The one or more non-transitory computer-readable media of  claim 7 , further comprising stored computer executable instructions that, when executed, cause a computer system to perform operations that include:
 receiving buy order data representing a bid price for a contract conforming to the synthetic series derivative contract class and sell order data representing an offer price for a contract conforming to the synthetic series derivative contract class;   matching the buy order data and the sell order data; and   storing, as a result of the matching, data creating the synthetic series derivative contract.   
     
     
         9 . The one or more non-transitory computer-readable media of  claim 7 , wherein each of the constituent derivative contract classes defines a class of futures contracts requiring payment based on an interest rate common to all contracts conforming to the constituent derivative contract class and on a notional amount common to all contracts conforming to the constituent derivative contract class. 
     
     
         10 . The one or more non-transitory computer-readable media of  claim 7 , wherein, for each of the constituent derivative contract classes,
 the class defines a class of derivative contracts requiring payment based on an interest rate difference applied a notional amount,   the notional amount is common to all contracts conforming to the class, and   the interest rate difference comprises a difference between a contract price for a contract conforming to the class and a market interest rate.   
     
     
         11 . The one or more non-transitory computer-readable media of  claim 7 , wherein each of the constituent derivative contract classes is a different class of Eurodollar futures contracts. 
     
     
         12 . The one or more non-transitory computer-readable media of  claim 7 , wherein the synthetic fixed income security data defines a settlement date for the synthetic fixed income security prior to a first expiration date of the constituent derivative contract classes. 
     
     
         13 . A computer system comprising:
 at least one processor; and   at least one non-transitory memory, wherein the at least one non-transitory memory stores instructions that, when executed, cause the computer system to perform operations that include
 accessing definitional data for a synthetic series derivative contract class, wherein the definitional data comprises
 synthetic series data identifying constituent derivative contract classes having successive expiration times and 
 synthetic fixed income security data defining a synthetic fixed income security, 
 
 determining an effective yield as of a valuation time for a synthetic series of contracts conforming to the constituent derivative contract classes, 
 calculating an imputed value of the synthetic fixed income security corresponding to the effective yield as of the valuation time, and 
 storing, with regard to a synthetic series derivative contract conforming to the synthetic series derivative contract class, data updating an account value based on the imputed value of the synthetic fixed income security. 
   
     
     
         14 . The computer system of  claim 13 , wherein the at least one non-transitory memory stores instructions that, when executed, cause the computer system to perform operations that include
 receiving buy order data representing a bid price for a contract conforming to the synthetic series derivative contract class and sell order data representing an offer price for a contract conforming to the synthetic series derivative contract class,   matching the buy order data and the sell order data, and   storing, as a result of the matching, data creating the synthetic series derivative contract.   
     
     
         15 . The computer system of  claim 13 , wherein each of the constituent derivative contract classes defines a class of futures contracts requiring payment based on an interest rate common to all contracts conforming to the constituent derivative contract class and on a notional amount common to all contracts conforming to the constituent derivative contract class. 
     
     
         16 . The computer system of  claim 13 , wherein, for each of the constituent derivative contract classes,
 the class defines a class of derivative contracts requiring payment based on an interest rate difference applied a notional amount,   the notional amount is common to all contracts conforming to the class, and   the interest rate difference comprises a difference between a contract price for a contract conforming to the class and a market interest rate.   
     
     
         17 . The computer system of  claim 13 , wherein each of the constituent derivative contract classes is a different class of Eurodollar futures contracts. 
     
     
         18 . The computer system of  claim 13 , wherein the synthetic fixed income security data defines a settlement date for the synthetic fixed income security prior to a first expiration date of the constituent derivative contract classes.